Risk, return and portfolio optimization for various industries in the ASEAN region
Sign Up to like & getrecommendations! Published in 2019 at "Borsa Istanbul Review"
DOI: 10.1016/j.bir.2018.09.003
Abstract: Abstract This paper examines risk, return and portfolio diversification at the industry level in four member countries of the ASEAN for which required data are available: Vietnam, Thailand, Malaysia, and Singapore. Market indices are examined… read more here.
Keywords: optimization various; return portfolio; portfolio optimization; risk ... See more keywords
Intertemporal risk-return tradeoff in the short-run
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.08.031
Abstract: We hypothesize that good (bad) market news causes overpricing (underpricing) in the short-term, thereby inducing a weak or negative (significantly positive) intertemporal risk-return tradeoff. We verify this asymmetry through the indirect relation of a weak… read more here.
Keywords: return tradeoff; short run; tradeoff short; risk return ... See more keywords
Flight-to-safety and the risk-return trade-off: European evidence
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DOI: 10.1016/j.frl.2019.09.009
Abstract: This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative… read more here.
Keywords: flight; flight safety; return trade; risk return ... See more keywords
A Monte Carlo-based framework for risk-return analysis in mineral prospectivity mapping
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DOI: 10.1016/j.gsf.2020.02.010
Abstract: Abstract Quantification of a mineral prospectivity mapping (MPM) heavily relies on geological, geophysical and geochemical analysis, which combines various evidence layers into a single map. However, MPM is subject to considerable uncertainty due to lack… read more here.
Keywords: mineral prospectivity; uncertainty; prospectivity mapping; analysis ... See more keywords
Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.02.009
Abstract: Abstract In defined contribution (DC) pension schemes, the regulator usually imposes asset allocation constraints (minimum and maximum limits by asset class) in order to create funds with different risk–return profiles. In this article, we challenge… read more here.
Keywords: return profiles; asset allocation; risk; risk return ... See more keywords
Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economics and Business"
DOI: 10.1016/j.jeconbus.2019.105886
Abstract: Abstract This study examines the link between returns and volatility of Bitcoin, at both contemporaneous and intertemporal levels, employing high-frequency data. The intraday price variability is proxied by four different measures, namely realized variance, jump… read more here.
Keywords: jump variation; risk return; return trade; bitcoin ... See more keywords
Risk return profile of nanomaterials
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DOI: 10.1016/j.molstruc.2020.129740
Abstract: Abstract The risk associated with nanomaterials has always been a concern for investors as a part of their decision-making process. To date, the concept of risk-return has never been used for nanomaterials. This paper takes… read more here.
Keywords: methodology; risk; part; profile nanomaterials ... See more keywords
The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets
Sign Up to like & getrecommendations! Published in 2019 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2018.12.013
Abstract: Abstract This paper examines whether the intertemporal tradeoffs between risk and return explain mean reversion in sovereign CDS spreads. I test how mean reversion prevents the explosiveness of CDS spreads in Europe. The relationship between… read more here.
Keywords: reversion sovereign; finance; sovereign cds; risk return ... See more keywords
The impact of symbiotic relations on the performance of micro, small and medium enterprises in a small-town context: The perspective of risk and return
Sign Up to like & getrecommendations! Published in 2021 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2021.101388
Abstract: Abstract This study uses a financial lens to investigate and discuss how symbiotic relationships can enhance business performance, particularly in terms of risk and return for micro, small and medium enterprises (MSMEs). A mixed-method approach,… read more here.
Keywords: performance; small medium; risk return; micro small ... See more keywords
Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
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DOI: 10.1093/rfs/hhab053
Abstract: We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications.… read more here.
Keywords: risk; risk return; return trade; dynamics multihorizon ... See more keywords
Renewable energy investments with storage: a risk-return analysis
Sign Up to like & getrecommendations! Published in 2018 at "International Journal of Energy Sector Management"
DOI: 10.1108/ijesm-02-2018-0009
Abstract: The purpose of this paper is to study investments in renewable energy projects which are jointly operated with an energy storage system, with particular focus on risk-return characteristics from the perspective of private and institutional… read more here.
Keywords: storage; risk; energy; renewable energy ... See more keywords